银行资本水平与货币政策非对称性的实证研究

发布时间：2018-08-25 11:04

【摘要】：本文运用中国17家商业银行2000年第1季度-2011年第4季度的面板数据进行实证分析,比较了具有不同资本水平的银行对紧缩性和扩张性货币政策的反应差异,并考察了银行资本约束和资本监管对货币政策传导非对称性的放大效应。结果表明,我国逆风向行事的货币政策在中央银行的政策工具及操作目标的作用下,其信贷传导渠道存在显著的非对称性特征,即紧缩性货币政策的效果较强,而扩张性货币政策的效果较弱;以银行资本水平为代表的银行特征会对货币政策信贷传导渠道在微观层面产生异质性影响,资本缓冲规模越高、资产规模越小的银行对货币政策冲击的反应越大;同时,在银行受到法定存款准备金及银行资本的双重约束下,以资本充足率为核心的资本监管有效强化了我国货币政策信贷传导渠道的非对称效应。
[Abstract]:Based on the panel data of 17 commercial banks in China from the first quarter of 2000 to the fourth quarter of 2011, this paper compares the responses of banks with different capital levels to the contractionary and expansionary monetary policies. The amplification effect of bank capital constraint and capital supervision on the asymmetry of monetary policy transmission is investigated. The results show that under the influence of the policy tools and operational objectives of the central bank, the credit transmission channel of China's monetary policy acting against the wind has significant asymmetric characteristics, that is, the effect of the contractionary monetary policy is stronger. However, the effect of expansionary monetary policy is weak, and the bank characteristics, such as the level of bank capital, will have a heterogeneous effect on the credit transmission channel of monetary policy at the micro level, and the higher the capital buffer scale is, Banks with smaller assets are more responsive to the impact of monetary policy. At the same time, banks are subject to the dual constraints of legal deposit reserves and bank capital. Capital supervision with capital adequacy ratio as the core effectively strengthens the asymmetric effect of credit transmission channel of monetary policy in China.
【作者单位】：武汉大学经济与管理学院;
【基金】：国家自然科学基金项目“货币政策传导的银行资本渠道研究”(项目批准号:71073113)的资助
【分类号】：F832.3;F822.0;F224

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